A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/18016 |
Resumo: | This paper proposes a Factor-Augmented Dynamic Nelson-Siegel (FADNS) model to predict the yield curve in the US that relies on a large data set of weekly financial and macroeconomic variables. The FADNS model significantly improves interest rate forecasts relative to the extant models in the literature. For longer horizons, it beats autoregressive alternatives, with a reduction in mean absolute error of up to 40%. For shorter horizons, it offers a good challenge to autoregressive forecasting models, outperforming them for the 7- and 10-year yields. The out-of-sample analysis shows that the good performance comes mostly from the forward-looking nature of the variables we employ. Including them reduces the mean absolute error in 5 basis points on average with respect to models that reflect only past macroeconomic events. |
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Vieira, Fausto José AraújoChague, Fernando DanielFernandes, MarceloEscolas::EESP2017-03-07T14:21:58Z2017-03-07T14:21:58Z2017TD 445http://hdl.handle.net/10438/18016This paper proposes a Factor-Augmented Dynamic Nelson-Siegel (FADNS) model to predict the yield curve in the US that relies on a large data set of weekly financial and macroeconomic variables. The FADNS model significantly improves interest rate forecasts relative to the extant models in the literature. For longer horizons, it beats autoregressive alternatives, with a reduction in mean absolute error of up to 40%. For shorter horizons, it offers a good challenge to autoregressive forecasting models, outperforming them for the 7- and 10-year yields. The out-of-sample analysis shows that the good performance comes mostly from the forward-looking nature of the variables we employ. Including them reduces the mean absolute error in 5 basis points on average with respect to models that reflect only past macroeconomic events.engEESP - Textos para Discussão;TD 445BondsFactor-augmented VARForecastingTerm structureYield curveEconomiaDebêntures - Estados UnidosDebêntures - Preços - Modelos econométricosInvestimentos - Estados UnidosA dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the USinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTEXTTD 445 - Fausto_Fernando_Marcelo.pdf.txtTD 445 - Fausto_Fernando_Marcelo.pdf.txtExtracted texttext/plain79324https://repositorio.fgv.br/bitstreams/cfced81a-96d6-4c6e-ab8b-fe15c2829e2b/downloadaab049dce9101de22946284f1ab0269bMD58ORIGINALTD 445 - Fausto_Fernando_Marcelo.pdfTD 445 - 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|
dc.title.eng.fl_str_mv |
A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US |
title |
A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US |
spellingShingle |
A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US Vieira, Fausto José Araújo Bonds Factor-augmented VAR Forecasting Term structure Yield curve Economia Debêntures - Estados Unidos Debêntures - Preços - Modelos econométricos Investimentos - Estados Unidos |
title_short |
A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US |
title_full |
A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US |
title_fullStr |
A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US |
title_full_unstemmed |
A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US |
title_sort |
A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US |
author |
Vieira, Fausto José Araújo |
author_facet |
Vieira, Fausto José Araújo Chague, Fernando Daniel Fernandes, Marcelo |
author_role |
author |
author2 |
Chague, Fernando Daniel Fernandes, Marcelo |
author2_role |
author author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.author.fl_str_mv |
Vieira, Fausto José Araújo Chague, Fernando Daniel Fernandes, Marcelo |
dc.subject.eng.fl_str_mv |
Bonds Factor-augmented VAR Forecasting Term structure Yield curve |
topic |
Bonds Factor-augmented VAR Forecasting Term structure Yield curve Economia Debêntures - Estados Unidos Debêntures - Preços - Modelos econométricos Investimentos - Estados Unidos |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Debêntures - Estados Unidos Debêntures - Preços - Modelos econométricos Investimentos - Estados Unidos |
description |
This paper proposes a Factor-Augmented Dynamic Nelson-Siegel (FADNS) model to predict the yield curve in the US that relies on a large data set of weekly financial and macroeconomic variables. The FADNS model significantly improves interest rate forecasts relative to the extant models in the literature. For longer horizons, it beats autoregressive alternatives, with a reduction in mean absolute error of up to 40%. For shorter horizons, it offers a good challenge to autoregressive forecasting models, outperforming them for the 7- and 10-year yields. The out-of-sample analysis shows that the good performance comes mostly from the forward-looking nature of the variables we employ. Including them reduces the mean absolute error in 5 basis points on average with respect to models that reflect only past macroeconomic events. |
publishDate |
2017 |
dc.date.accessioned.fl_str_mv |
2017-03-07T14:21:58Z |
dc.date.available.fl_str_mv |
2017-03-07T14:21:58Z |
dc.date.issued.fl_str_mv |
2017 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/18016 |
dc.identifier.sici.none.fl_str_mv |
TD 445 |
identifier_str_mv |
TD 445 |
url |
http://hdl.handle.net/10438/18016 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
EESP - Textos para Discussão;TD 445 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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FGV |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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